Hello, I am trying to have a workstation (outside our network) from London run a software that accesses our SQL Server 2003 in New York.

All this over a VPN.

I've already set up this user as part of the SQL Group that has access to the database, but something is not working.

When the user in London tries to run the software is immediately presented with an error, saying that the user "null" doesn't have access to the database.

I'm guessing that a connection has not been established from that workstation to our network? What else is needed in this case of connections? Is there another step I need to know in order to make sure that workstation sees and recognizes the database?

You might want to read up on secure VPN and regular VPN. If you have Cisco VPN and all the people using it have AD accounts, then you don't need to use standard security. Talk to your network guys and have them help you on this. They can setup the VPN where people are validated as AD users when they login through VPN. It's not that hard to setup. They just need to do it.